[原创]标准普尔CDO评级准则

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Structured Finance

STANDARD & POOR'S

Global Collateralized Bond And Loan Obligation (CBO/CLO) Criteria

Global CBO/CLO Product Overview
Product Basics
Cash Flow CBOs/CLOs
Differences Between CBOs And CLOs
Key Areas Of Risk
Outlook

The Rating Process, Asset Management,And Surveillance For CBOs/CLOs
  
Procedures
Sponsor/Asset-Manager Review
Surveillance

Evaluating Credit Risk For CBO/CLO Transactions
Determining Credit Enhancement
Credit Enhancement Level: Cash Flow Analysis And Default Estimation
Risk Factors: Structure And Collateral
Other Considerations

Legal Considerations For CBO/CLO Transactions
Bankruptcy-Remote Entities
Transfer Of Assets And Perfection
Selected Specific Criteria

Master Trust And Synthetic CLO Structures
Overview Of The Master Trust Structure
Master Trust Structural Issues
Credit Considerations
Credit-Linked Notes And Synthetic CLOs

Multi-jurisdiction/Emerging Market CBO Criteria
Sovereign Risk
Concentration Risks
Recovery And Loss Severity Assumptions

Appendix A
Mapping Bank Loan Scoring Models To Standard & Poor’s Ratings In CBO/CLO Transactions

Appendix B
Structured Finance Interest Rate And Currency Swap Criteria

Appendix C
‘AAAt’ Swaps Approved In Structured Finance Transactions

Appendix D
Swap Agreement Criteria For CBO/CLO Transactions

Appendix E
Interest Rate Assumptions For Structured Ratings

Appendix F
Structured Financing Without True Sale: English Secured Loans

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2008-3-9 09:38:00 上传

[原创]标准普尔CDO评级准则
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